Everyone who shoots should have a first-aid kit in their range bag. The following is what I carry. It fits into a quart-sized ziplock freezer bag, which packs easily among my shooting gear.
A first aid kit is not a cure-all, but it will help alleviate minor scrapes, cuts, etc. and keep shooters shooting. If more grevious injuries occur, it will help keep the victim stable while waiting for transportation or during transport if no ambulance is available.
The kit gets smaller and smaller as I realize how many things can be improvised, but these are (IMO) the essentials.
The quart-sized freezer bag can be used for saline-solution wound irrigation if you puncture the bottom with a pin, so I don't carry an irrigation syringe.
A roll of the ever-so-handy duct tape is also good for splinting limbs, holding down dressings, immobilizing impaled objects, or taping a valve (plastic bag) over a sucking chest wound.
Most of the above items are easily available at a drugstore, and the rest from a hospital pharmacy. Net cost should be around $60.
Wherever you shoot, you want to know where the nearest medical facility is. Also think about a halfway point where you could meet an ambulance en route, cutting time to medical treatment in half.
A first-aid kit isn't much good if you don't know what to do with it. There is a lot of bad advice on the net on topics such as treating shock, removing foreign objects, using turniquets, cauterizing wounds, etc. The time you spend familiarizing yourself with first-responder medicine will be well worth it in an emergency. I recommend the following two books highly.
Everyone should have basic CPR training. It's simple and has saved many lives. The Red Cross offers a certification course that gives hands-on training in recognizing many life-threatening conditions and treating them. The cost is usually around $40. Check the phone book for the Red Cross in your area.